Row
Rank
Predicted Beta
Idiosyncratic Volatility
Row
Annualized return and volatility
| Close | |
|---|---|
| Annualized Return | 0.0802 |
| Annualized Std Dev | 0.2426 |
| Annualized Sharpe (Rf=0%) | 0.3304 |
Row
Daily Return Statistics
| Close | |
|---|---|
| Observations | 5235.0000 |
| NAs | 1.0000 |
| Minimum | -0.1327 |
| Quartile 1 | -0.0071 |
| Median | 0.0010 |
| Arithmetic Mean | 0.0004 |
| Geometric Mean | 0.0003 |
| Quartile 3 | 0.0085 |
| Maximum | 0.0915 |
| SE Mean | 0.0002 |
| LCL Mean (0.95) | 0.0000 |
| UCL Mean (0.95) | 0.0008 |
| Variance | 0.0002 |
| Stdev | 0.0153 |
| Skewness | -0.3289 |
| Kurtosis | 5.9605 |
Downside Risk
| Close | |
|---|---|
| Semi Deviation | 0.0111 |
| Gain Deviation | 0.0103 |
| Loss Deviation | 0.0114 |
| Downside Deviation (MAR=210%) | 0.0156 |
| Downside Deviation (Rf=0%) | 0.0109 |
| Downside Deviation (0%) | 0.0109 |
| Maximum Drawdown | 0.5989 |
| Historical VaR (95%) | -0.0234 |
| Historical ES (95%) | -0.0353 |
| Modified VaR (95%) | -0.0243 |
| Modified ES (95%) | -0.0443 |
| From | Trough | To | Depth | Length | To Trough | Recovery |
|---|---|---|---|---|---|---|
| 2007-07-10 | 2009-03-09 | 2011-04-28 | -0.5989 | 960 | 420 | 540 |
| 2018-09-04 | 2020-03-23 | 2020-11-13 | -0.4226 | 555 | 390 | 165 |
| 2000-07-18 | 2002-10-09 | 2003-11-28 | -0.4028 | 846 | 559 | 287 |
| 2011-05-02 | 2011-10-03 | 2012-09-14 | -0.2940 | 348 | 108 | 240 |
| 2015-06-24 | 2016-02-11 | 2016-11-14 | -0.2653 | 353 | 161 | 192 |
Row
Monthly and Calendar Year Returns
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Close | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2000 | NA | NA | NA | NA | 2.3 | 1 | -0.3 | 0.8 | -0.5 | 0.1 | 2.2 | -2.9 | 2.6 |
| 2001 | 0.7 | 0.7 | 1.9 | 1.2 | 1.2 | 1.7 | 1.5 | 0.8 | -0.9 | 1.8 | -1.2 | -1.7 | 8.1 |
| 2002 | -0.6 | 2.5 | 0.1 | 0.7 | -0.7 | -2 | -1.5 | -0.7 | 3.2 | 2.3 | -1.2 | -0.1 | 1.8 |
| 2003 | 1.4 | 0.2 | 1.7 | -0.1 | 1.8 | 0.7 | -1.4 | 0.4 | 2.7 | -0.7 | 1.3 | -1.5 | 6.6 |
| 2004 | 0.1 | 1.6 | 1.1 | -1.6 | 1 | -1.8 | 0.5 | 0.8 | 2.5 | 0.8 | 0.9 | -0.1 | 5.9 |
| 2005 | 0.6 | 0.8 | -0.4 | 1.3 | 1.1 | 0.4 | 0 | 0 | 0.5 | 0.5 | 1.6 | -0.6 | 5.9 |
| 2006 | 1 | 1.8 | 0.4 | -1.2 | 1.9 | 0.7 | -1.6 | 0.1 | -0.9 | -2 | -0.4 | -1 | -1.2 |
| 2007 | 1.1 | -0.5 | 0.4 | -0.2 | 0.6 | -0.6 | 0.5 | 0.9 | 2.5 | -3.9 | 0.5 | -0.8 | 0.4 |
| 2008 | 2.4 | -2.1 | 3.7 | 1.9 | 0.3 | 0.1 | 0.1 | -0.9 | -1.4 | 4.5 | -11.2 | 2.3 | -1.2 |
| 2009 | -2 | -0.7 | 1.7 | 0.6 | 3.9 | 1.5 | -0.4 | -2.2 | -3 | -2.7 | 1.5 | -1.2 | -3.1 |
| 2010 | 1.2 | 2.3 | 0.9 | -2.9 | -3 | -0.7 | 0.1 | 3.9 | 0.5 | -0.7 | 2.2 | -0.7 | 2.9 |
| 2011 | 2.3 | -2 | 0.4 | 0.4 | -3.2 | 1.6 | -0.7 | -2.1 | -3.1 | -3.5 | -0.7 | -0.5 | -10.8 |
| 2012 | 2.2 | 0.5 | -0.3 | 0.1 | -3 | 2.9 | -1.6 | 0.4 | 0.3 | 1.1 | -0.2 | 2.2 | 4.4 |
| 2013 | 0.9 | 0.5 | -1.3 | -2.4 | -1.1 | 1.6 | 1.4 | -1.6 | 1.2 | -0.4 | 0.1 | 0.2 | -1.2 |
| 2014 | -0.7 | -0.4 | 1.3 | 0 | -0.4 | 1 | -0.5 | 0.6 | -1.4 | 1.5 | -1.6 | -0.6 | -1.3 |
| 2015 | -2.2 | -0.5 | 0 | 0.7 | 0.3 | 0.3 | 0.5 | -2.9 | -0.2 | -0.5 | 0.7 | -1.2 | -4.9 |
| 2016 | -0.5 | 2.2 | 0.4 | -0.9 | 0.7 | 0.4 | 0.1 | 0.1 | 1.1 | -1.2 | -0.5 | -0.4 | 1.4 |
| 2017 | -0.1 | 1.8 | 0.2 | 0.6 | 1.9 | -0.2 | 0.2 | 0.6 | 0.2 | -0.7 | -0.4 | -0.8 | 3.4 |
| 2018 | 0.3 | -0.3 | 1 | 0.5 | 0.7 | -0.1 | -0.1 | 0.4 | -1.3 | 2.3 | 0.5 | 0.8 | 4.8 |
| 2019 | 0.1 | 0.9 | 1.1 | -0.9 | -1.4 | 0.4 | -1.4 | -0.2 | -2 | 1.7 | -0.7 | 0.1 | -2.3 |
| 2020 | -2.1 | -1.8 | -6.8 | -4 | 1 | -0.9 | -0.9 | 1.1 | 1.6 | -1.3 | 0.9 | -0.2 | -12.9 |
| 2021 | 2.5 | 3.6 | 0.8 | NA | NA | NA | NA | NA | NA | NA | NA | NA | 6.9 |
Row
Price Chart
# tidytable [6 × 21]
datadate Close tic.x spy ret.x ret_1W.x ret_1M.x ret_3M.x ret_1Y.x ret_3Y.x ret_5Y.x tic.y gld ret.y ret_1W.y
<date> <dbl> <chr> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <chr> <dbl> <dbl> <dbl>
1 2000-05-26 45.7 SPY 138 0.0011 -0.0221 -0.0548 0.0138 0.0599 NA NA <NA> NA NA NA
2 2000-05-30 47.4 SPY 143. 0.0342 0.019 -0.0164 0.0384 0.1 NA NA <NA> NA NA NA
3 2000-05-31 47.6 SPY 143. 0.0007 0.0349 -0.0289 0.0316 0.0996 NA NA <NA> NA NA NA
4 2000-06-01 48.7 SPY 145. 0.0175 0.0361 0.0082 0.049 0.113 NA NA <NA> NA NA NA
5 2000-06-02 51.2 SPY 148. 0.0174 0.0725 0.0439 0.0476 0.110 NA NA <NA> NA NA NA
6 2000-06-05 51 SPY 147. -0.0049 0.0661 0.0375 0.0523 0.102 NA NA <NA> NA NA NA
# … with 6 more variables: ret_1M.y <dbl>, ret_3M.y <dbl>, ret_1Y.y <dbl>, ret_3Y.y <dbl>, ret_5Y.y <dbl>, rel <dbl>Row
Rolling Performance Chart
Row
Snail Trail Chart
